دانلود رایگان مقاله لاتین کیفیت شرکت در بازده از سایت الزویر
عنوان فارسی مقاله:
اثر نوسانات و نقش فاکتور کیفیت شرکت در بازده: شواهدی از بازار سهام هند
عنوان انگلیسی مقاله:
Volatility effect and the role of firm quality factor in returns: Evidence from the Indian stock market
سال انتشار : 2017
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بخشی از مقاله انگلیسی:
Volatility and stock returns
In this section, we test if the volatility effect exists in the Indian equity market. The findings, if confirmative, will help portfolio managers in strategy design. We begin our investigation by estimating stock volatility and forming portfolios based on volatility measures which are described subsequently. Stock volatility is measured as the standard deviation of returns for the past 12 months. In June of year (t), securities are ranked on the basis of volatility variable. Then the ranked stocks are divided into 10 portfolios, i.e. P1 to P10, and equally weighted monthly excess returns are estimated for these portfolios for next month (t). P1 is the low volatility portfolio, which contains the least 10% volatile stocks, while P10 is the high volatility portfolio consisting of 10% of the most volatile stocks. We call this strategy as 12/1 strategy, i.e. 12 months formation period and 1 month holding period. Portfolios are rebalanced at the end of each month and the process continues from June 2002 until the last month of our sample period i.e. November 2013. The high-low zero investment portfolio (P10-P1) implies taking long position in P10 and short position in P1. Table 1 Panel A shows the average monthly returns on 12/1 volatility based portfolios. In contrast to results reported in developed markets we find that unadjusted returns increase monotonically from P1 to P10. P1 provides unadjusted return of 1.1% per month, translating into 13.2% per year, whereas P10 provides unadjusted return of 4.5% per month which is about 54% on an annualised basis. Thus, the high volatility stocks outperform the low volatility stocks in the Indian context.3 Our results confirm the power of volatility information in portfolio formation which is theoretically consistent. Low volatility anomaly seems to be negated in India, unlike prior evidence for other world markets. Further, an investor can make a profit of 3.3% per month, i.e. 39.6% per year, by adopting a long-short strategy by buying P10 and selling P1.
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کلمات کلیدی:
Accrual Quality and Expected Returns: The Importance of Controlling ... https://books.google.com/books?isbn=0549609199 Maria Ogneva - 2008 Much of this debate centers around the quality of accruals. ... positive correlation between the returns on the AQ factor (accrual quality factor) and ... paper, I use “cost of equity” and “expected return” on a firm's stock as equivalent expressions. [PDF]the quality factor - Norges Bank Investment Management https://www.nbim.no/contentassets/.../nbim_discussionnotes_3-15.pdf Dec 2, 2015 - documented excess returns of high-quality stocks over low-quality stocks. .... Despite the pervasiveness and economic significance of quality investment ... Profitability: High-quality firms are often described as profitable firms. Earnings Quality - Page 64 - Google Books Result https://books.google.com/books?isbn=1601981147 Jennifer Francis, Per Olsson, Katherine Schipper - 2008 - Business & Economics Building on the definition of realized return as a composite of true expected return ... She documents that poor accrual quality firms experience negative cash flow ... factors for earnings quality; her results, in particular, indicate the importance of ... Capital Market Implications of Earnings Quality https://books.google.com/books?isbn=3899369211 Bianca Ahrens - 2010 - Business & Economics Francis, LaFond, Olsson, and Schipper (2005) extend the one-factor and ... returns between the two top and the two bottom quintiles to which firms are assigned ... Recent IIMB Management Review Articles - Elsevier https://www.journals.elsevier.com/iimb-management-review/recent-articles May 17, 2017 - Risk-attitudes of the NSE 500 firms—Bowman's paradox and prospect theory ... Volatility effect and the Role of Firm Quality Factor in Returns: ... Earnings Quality Factor - Quantpedia.com https://quantpedia.com/Screener/Details/229 There are multiple factors explaining abnormal equity returns which could be used ... Earnings quality factor portfolio has low to negative correlation to other factor ... the low-quality firms are characterized by high reported earnings (relative to ... a simple formula that is a function of the frictionless Sharpe, a measure of price ...
